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MRCI's Scenario Study

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MRCI's ScenarioSM Study
ScenarioSM Study for September Coffee "C"(ICE) as of Oct 20, 2019
Condition 1: Higher Monthly Close.
Action ---> Buy that month's close with objective of exceeding month's high within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Higher   24 23 24 24 18 20 22 20 12 18 23
Exceeded High   18 20 19 16 14 15 16 10 9 14 15
Scenario Percentage   75% 87% 79% 67% 78% 75% 73% 50% 75% 78% 65%
Avg Max Increase   15.07% 13.56% 13.48% 17.40% 14.20% 18.67% 20.62% 24.87% 12.74% 9.20% 6.55%
Max Increase   54.56% 58.99% 42.09% 62.80% 32.10% 72.37% 122.35% 121.24% 43.01% 23.92% 21.36%
Avg Days To Max Increase   20 16 17 14 19 18 18 13 16 12 10
Avg Max Decline   -1.80% -1.30% -1.87% -1.42% -2.30% -3.58% -2.79% -2.77% -7.40% -4.66% -1.10%
Max Decline   -8.13% -6.04% -8.89% -4.17% -10.05% -11.70% -11.79% -10.13% -21.26% -13.46% -3.35%
Avg Days to Max Decline   8 6 8 8 9 6 6 8 13 8 3
2019 Contract Condition   Yes     Yes       Yes Yes    
Action   No     No       Yes Yes    
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Condition 2: Lower Monthly Close.
Action ---> Sell that month's close with objective of penetrating month's low within 2 months.
Tested Month Sep Oct Nov Dec Jan Feb Mar Apr May Jun Jul Aug
Tested Years   45 45 45 45 45 45 45 45 45 45 45
Closed Lower   21 22 21 21 27 25 23 25 33 27 22
Penetrated Low   17 20 17 19 23 20 20 21 29 17 12
Scenario Percentage   81% 91% 81% 90% 85% 80% 87% 84% 88% 63% 55%
Avg Max Decline   9.39% 8.37% 8.51% 9.14% 8.96% 8.60% 13.05% 13.88% 12.31% 9.70% 6.27%
Max Decline   22.31% 17.16% 21.60% 20.79% 16.50% 16.67% 33.77% 33.16% 30.78% 16.82% 14.05%
Avg Days To Max Decline   17 14 17 16 17 20 21 20 16 13 11
Avg Max Increase   -2.18% -1.98% -3.99% -2.72% -2.36% -4.51% -4.35% -3.21% -4.29% -4.59% -2.43%
Max Increase   -6.26% -9.42% -14.78% -9.41% -9.42% -13.68% -21.21% -9.64% -39.51% -11.96% -8.01%
Avg Days to Max Increase   10 4 9 7 7 15 11 7 6 8 4
2019 Contract Condition     Yes Yes   Yes Yes Yes     Yes Yes
Action     Yes Yes   Yes Yes Yes     Yes Not Yet
High 114.50 136.30 132.35 118.90 115.65 115.65 106.20 101.85 107.75 110.50 115.65 98.95
Low 105.75 111.95 115.55 107.55 108.10 102.00 98.10 91.60 90.05 96.25 98.10 89.60
Close/Last 112.90 123.75 115.75 110.60 114.50 103.90 99.75 95.45 107.10 109.45 99.65 93.60

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